LTI Stochastic Processes: a Behavioral Perspective

被引：2

作者：

Baggio, Giacomo ^{[1
]}

Sepulchre, Rodolphe ^{[2
]}

机构：

[1] Univ Padua, Dipartimento Ingn Informaz, Via Gradenigo 6-B, I-35131 Padua, Italy

[2] Univ Cambridge, Dept Engn, Trumpington St, Cambridge CB2 1PZ, England

来源：

IFAC PAPERSONLINE | 2017年 / 50卷 / 01期

基金：

欧洲研究理事会;

关键词：

Stochastic modelling; Synthesis of stochastic systems; Simulation of stochastic systems; Time series modelling; Behavioral systems theory; Rational spectral densities; SYSTEMS;

D O I：

10.1016/j.ifacol.2017.08.631

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper revisits the definition of linear time-invariant (LTI) stochastic process within a behavioral systems framework. Building on Willems (2013), we derive a canonical representation of an LTI stochastic process and a physically grounded notion of interconnection between independent stochastic processes. We use this framework to analyze the invariance properties enjoyed by distances between spectral densities of LTI processes. (C) 2017, IFAC (International Federation of Automatic Control) Hosting by Elsevier Ltd. All rights reserved.

引用

页码：2806 / 2811

页数：6

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